quantsupport 0.1.7

/*
This file is part of QuantSupport's Rust rewrite and adaptation of the
derivatives scripting code written by Antoine Savine in 2018.

The original code is the strict intellectual property of Antoine Savine.

A license to use and alter the original code for personal and commercial
applications is freely granted to any person or company that purchased a copy
of the book:

Modern Computational Finance: Scripting for Derivatives and XVA
Jesper Andreasen and Antoine Savine
Wiley, 2018

This attribution and license notice must be preserved at the top of this file.
*/

use crate::{
    scripting::{
        nodes::node::Node,
        utils::errors::{Result, ScriptingError},
    },
    time::date::Date,
};
use serde::{Deserialize, Serialize};

/// # CodedEvent
/// A coded event is a combination of a reference date and a coded expression. Its a precompiled version of an event.
#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
pub struct CodedEvent {
    event_date: Date,
    script: String,
}

impl CodedEvent {
    /// Creates a dated source-code event.
    pub fn new(event_date: Date, script: String) -> CodedEvent {
        CodedEvent { event_date, script }
    }

    /// Returns the event date.
    pub fn event_date(&self) -> Date {
        self.event_date
    }

    /// Returns the event source code.
    pub fn script(&self) -> &String {
        &self.script
    }
}

/// # Event
/// An event is a combination of a reference date and an expression tree. Represents a future action that will happen at a specific date.
#[derive(Debug, Clone, PartialEq)]
pub struct Event {
    event_date: Date,
    expr: Node,
}

impl Event {
    /// Creates a dated, parsed expression event.
    pub fn new(event_date: Date, expr: Node) -> Event {
        Event { event_date, expr }
    }

    /// Returns the event date.
    pub fn event_date(&self) -> Date {
        self.event_date
    }

    /// Returns the event expression tree.
    pub fn expr(&self) -> &Node {
        &self.expr
    }

    /// Returns mutable access to the event expression tree.
    pub fn mut_expr(&mut self) -> &mut Node {
        &mut self.expr
    }
}

impl TryFrom<CodedEvent> for Event {
    type Error = ScriptingError;

    fn try_from(event: CodedEvent) -> Result<Event> {
        let expr = match Node::try_from(event.script().clone()) {
            Ok(expr) => expr,
            Err(e) => {
                return Err(ScriptingError::InvalidSyntax(format!(
                    "{} (event date: {})",
                    e,
                    event.event_date()
                )));
            }
        };
        Ok(Event::new(event.event_date(), expr))
    }
}

/// # EventStream
/// An event stream is a collection of events that will happen in the future. An event stream could represent a series of cash flows, for example.
#[derive(Debug, Clone, PartialEq, Default)]
pub struct EventStream {
    id: Option<usize>,
    events: Vec<Event>,
}

impl EventStream {
    /// Creates an empty event stream.
    pub fn new() -> EventStream {
        EventStream {
            events: Vec::new(),
            id: None,
        }
    }

    /// Assigns an optional stream identifier.
    pub fn with_id(mut self, id: usize) -> Self {
        self.id = Some(id);
        self
    }

    /// Replaces the events in the stream.
    pub fn with_events(mut self, events: Vec<Event>) -> Self {
        self.events = events;
        self
    }

    /// Appends an event to the stream.
    pub fn add_event(&mut self, event: Event) {
        self.events.push(event);
    }

    /// Returns the ordered events.
    pub fn events(&self) -> &Vec<Event> {
        &self.events
    }

    /// Returns mutable access to the ordered events.
    pub fn mut_events(&mut self) -> &mut Vec<Event> {
        &mut self.events
    }

    /// Returns event dates in stream order.
    pub fn event_dates(&self) -> Vec<Date> {
        self.events.iter().map(|e| e.event_date).collect()
    }
}

impl TryFrom<Vec<CodedEvent>> for EventStream {
    type Error = ScriptingError;

    fn try_from(events: Vec<CodedEvent>) -> Result<EventStream> {
        let mut event_stream = EventStream::new();
        events.iter().try_for_each(|event| -> Result<()> {
            let event = Event::try_from(event.clone())?;
            event_stream.add_event(event);
            Ok(())
        })?;
        Ok(event_stream)
    }
}